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GARCH for Irregularly Spaced Data: The ACD-GARCH Model

Ghysels, Eric; Jasiak, Joanna - Centre Interuniversitaire de Recherche en Analyse des … - 1997

transaction durations and vice versa. Otherwise the spacings between trades are considered exogenous to the volatility dynamics … causality between volatility and intra-trade durations. Under general conditions we propose several GMM estimation procedures … that volatility of IBM stock prices Granger causes intra-trade durations. We also find that the persistence in GARCH drops …

Persistent link: https://www.econbiz.de/10005100975

Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - Centre Interuniversitaire de Recherche en Analyse des … - 2011

leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The … leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect …

Persistent link: https://www.econbiz.de/10008855592

Habit Formation with Recursive Preferences

Seckin, Aylin - Centre Interuniversitaire de Recherche en Analyse des … - 2000

In the literature of financial economics, there has not been introduced yet a model which is capable of explaining at the same time high risk premium and low risk-free rate. Mehra and Prescott (1985) have found that it requires implausibly high levels of risk aversion on the part of the...

Persistent link: https://www.econbiz.de/10005273025

Macro Surprises And Short-Term Behaviour In Bond Futures

Durenard, Eugene; Veredas, David - Centre Interuniversitaire de Recherche en Analyse des … - 2002

This paper analyses how the macro news affect the future price of the ten year Treasure bond future (TY), one of the most important US bonds. We consider different fundamentals and we analyze the effect of their forecasting errors conditionally on their sign and the momentum of the business...

Persistent link: https://www.econbiz.de/10005169007

Risk Aversion, Intertemporal Substitution, and Option Pricing

Garcia, René; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 1998

. This BS-shaped option pricing formula allows us to derive interesting characterizations of the volatility smile, that is …

Persistent link: https://www.econbiz.de/10005100513

Liberalization, Political Risk and Stock Market Returns in Emerging Markets

L'Her, Jean-François; Suret, Jean-Marc - Centre Interuniversitaire de Recherche en Analyse des … - 1997

comptable/valeur marchande, en plus des variations futures des conditions économiques. Dans ce cas également, les variations …

Persistent link: https://www.econbiz.de/10005100542

Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : New version February 2002) / Empirical Assessment of an Intertemporal Option Pricing Mod...

Garcia, René; Luger, Richard; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2001

generalizes the Hull-White stochastic volatility formula. Using this generalized formula in an ad-hoc fashion to extract two … implicit parameters and forecast next day S&P 500 option prices, we obtain similar pricing errors than with implied volatility …

Persistent link: https://www.econbiz.de/10005100563

Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models

Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003

Dans cet article, nous proposons des tests sur la forme de la distribution des erreurs dans un modèle de régression linéaire multivarié (RLM). Les tests que nous développons sont fonction des résidus obtenus par moindres carrés multivariés, lesquels sont standardisés de façon à ce que...

Persistent link: https://www.econbiz.de/10005100629

The Value of Capital Market Regulation: IPOs versus Reverse Mergers

Carpentier, Cécile; Cumming, Douglas; Suret, Jean-Marc - Centre Interuniversitaire de Recherche en Analyse des … - 2009

We analyze the economic consequences of disclosure and regulation within a context of significant information asymmetry and lenient regulation. In Canada, firms can enter the stock market at a pre-revenue stage by fulfilling each of the requirements of an initial public offerings or using...

Persistent link: https://www.econbiz.de/10005100646

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian...

Persistent link: https://www.econbiz.de/10005100677